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Investment Strategies / Mechanical Investing
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Author: musselmant ✧  😊 😞
Number: of 3953 
Subject: twice the Nasda100 CAGR with simple criteria
Date: 06/16/2025 5:25 PM
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I was reading through back research articles on seekingalpha and one noted that the ratio of 21 day SMA to 200 day was a key momentum criteria beyond the usual ones so I used it by itself and I came up with a Nasdaq100 strategy using just that ratio to reduce the 100 (now 101) stocks in the index to 5 traded monthly:

Twice the Nasdaq100, essentially same beta, much better sharpe ratio, marginally better max drawdown:
      strategy v. Nasdaq100 19850201 forward
cagr     23.7   11.5
sharpe     .75    .44
beta      1.33   1.29
mdd     -75.6  -80.8
<pre/>

https://gtr1.net/2013/?~Liquid_consolidators::nas1... 

Nasdaq100 stocks
ratio(sma(1,21),sma(1,200)) top 5

that's it
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